Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0054 |
| Annualized Std Dev | 0.1935 |
| Annualized Sharpe (Rf=0%) | -0.0279 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5588.0000 |
| NAs | 1.0000 |
| Minimum | -0.1572 |
| Quartile 1 | -0.0047 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0050 |
| Maximum | 0.1635 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0004 |
| Variance | 0.0001 |
| Stdev | 0.0122 |
| Skewness | -0.3454 |
| Kurtosis | 28.8586 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0089 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0107 |
| Downside Deviation (MAR=210%) | 0.0135 |
| Downside Deviation (Rf=0%) | 0.0089 |
| Downside Deviation (0%) | 0.0089 |
| Maximum Drawdown | 0.5478 |
| Historical VaR (95%) | -0.0145 |
| Historical ES (95%) | -0.0292 |
| Modified VaR (95%) | -0.0141 |
| Modified ES (95%) | -0.0141 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-01-03 | 2009-03-09 | 2019-07-05 | -0.5478 | 3651 | 1052 | 2599 |
| 2020-02-12 | 2020-03-23 | NA | -0.3986 | 279 | 28 | NA |
| 2002-04-25 | 2002-10-09 | 2004-12-20 | -0.2874 | 670 | 117 | 553 |
| 1999-01-19 | 1999-12-31 | 2002-01-25 | -0.2611 | 759 | 242 | 517 |
| 2019-09-25 | 2019-11-06 | 2020-02-11 | -0.0647 | 96 | 31 | 65 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.6 | -0.6 | 0 | -0.6 | -0.6 | 1.2 | 0.6 | 0 | -0.6 | 1.3 | -0.7 | -0.7 | -0.2 |
| 2000 | 0 | 0 | 0 | -1.4 | -0.7 | 1.3 | 1.3 | 0 | 0.6 | -0.6 | 0.6 | -0.6 | 0.6 |
| 2001 | -0.7 | 0.7 | -0.9 | 0.1 | -0.5 | 0.3 | 0.2 | 0 | 1.5 | 0.9 | 1.2 | 0.2 | 2.9 |
| 2002 | 0.2 | -0.3 | -0.2 | 0.4 | -0.5 | -0.8 | -1.4 | 0.4 | -0.7 | -0.6 | 0.5 | -0.4 | -3.2 |
| 2003 | 2.5 | 0.1 | -0.1 | -0.1 | 1.3 | -0.5 | -4 | -0.4 | -1.3 | -0.4 | -1.1 | -0.8 | -4.9 |
| 2004 | 0.3 | 0.4 | -0.4 | 0 | -0.9 | 0.1 | 0.3 | -0.1 | 0.8 | -0.1 | -1 | 0.7 | -0.1 |
| 2005 | -0.1 | 0.2 | -0.4 | 0.7 | -0.4 | 0.3 | 0.3 | -0.5 | -0.1 | -0.4 | -1.7 | 0.6 | -1.5 |
| 2006 | -0.4 | 0 | -0.2 | -0.5 | 0.8 | 1 | 0.2 | -0.1 | 0.4 | -0.7 | -0.1 | -0.1 | 0.3 |
| 2007 | -0.1 | -0.5 | 0.2 | -0.8 | 0.3 | 2.2 | -0.2 | -2.5 | -0.5 | -0.7 | 0.5 | -0.3 | -2.4 |
| 2008 | 0.2 | 1.6 | -0.6 | -0.1 | -0.6 | -4.8 | 0.7 | 0.5 | 0.4 | 1.9 | -7.2 | 1.7 | -6.5 |
| 2009 | 2.8 | -2.2 | 0 | 0.1 | -0.6 | -0.3 | 1 | -2.3 | -1.9 | -1.3 | -0.6 | -0.6 | -5.7 |
| 2010 | 0.7 | -0.7 | 0.5 | 0.3 | -1.7 | -0.4 | 0.8 | 1.1 | -0.1 | -0.7 | 0 | 0.6 | 0.2 |
| 2011 | -0.1 | 1.4 | -0.1 | 0 | 0 | -0.4 | 1.3 | 0.4 | 0.5 | -0.8 | 1.3 | 2.2 | 5.8 |
| 2012 | 0.8 | -0.4 | -1 | -0.9 | 0.9 | 0.1 | 0.6 | -1.2 | -1.1 | -0.4 | -0.1 | 5.1 | 2.3 |
| 2013 | -0.2 | 0.6 | -0.1 | -0.9 | -1.8 | -0.2 | 0.1 | 0.1 | 0 | 0 | 0.4 | -0.5 | -2.4 |
| 2014 | 0.6 | 0.7 | -1 | 0.6 | -1 | -1 | -1 | 0.2 | -0.1 | -0.3 | -0.1 | 0.6 | -1.7 |
| 2015 | -0.6 | -0.1 | 0.9 | 0.5 | -0.5 | 0.8 | 0.7 | -1.7 | -0.3 | 1 | 0 | 0 | 0.5 |
| 2016 | 0 | -1.2 | 0.3 | -0.3 | -0.1 | -1 | -0.7 | -0.2 | 0.1 | -0.4 | 0.3 | -0.2 | -3.4 |
| 2017 | 0.1 | -0.1 | 0.4 | -0.8 | -1.2 | -0.3 | -0.4 | -0.4 | 0.7 | -0.2 | 0.2 | 0 | -2 |
| 2018 | -1.6 | -0.5 | 0.2 | -0.1 | -0.6 | -0.3 | -0.6 | -0.1 | 0.5 | 0.1 | 0.6 | -0.3 | -2.6 |
| 2019 | -0.1 | 0.8 | -0.6 | -0.4 | -0.8 | -0.4 | 0.9 | -0.1 | -0.4 | 0.7 | -0.2 | -0.4 | -1 |
| 2020 | -0.5 | -8.4 | -5.6 | -4.9 | 0.7 | 1.6 | -0.5 | -0.3 | 0.1 | -0.9 | 0.4 | 0.1 | -17.2 |
| 2021 | -0.7 | -0.2 | 0 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -0.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
